Pretty cool. Basically what I expected.
Also, no one sleeps right next to a box of ammo that would then catch on fire. (if that happened, you'd have to be more worried about the fire)
As long as you have some distance and/or a light barrier between you and the burning ammo, you're fairly safe.
If your house is on fire, discharging ammo is likely the least of your worries. If you're that close to a pile of burning ammo, in your house, then I seriously question what you're doing there.
To me, the myth is a myth. No, burning ammo is obviously not completely harmless but when the ammo discharges, it's very likely not going to be flying through walls like a movie style shootout, with bullets ricocheting all over the place. I just can't think of a likely scenario where someone would get seriously injured from burning ammo in a fire. if they store their ammo in a decent place, and they're not within a foot of a pile of burning ammo.
I also believe Myth Busters did a test like this with using a .22 in place of a fuse. The myth was something along the lines of, a headlight fuse blew in a guy's pickup truck so he replaced the blown fuse with a live .22LR bullet, after about 20 miles the bullet heated up enough to go off, and hit the driver right in a 'sensitive area' IIRC their conclusion was that there is potential for lethality, but in most cases wounding was not extremely significant. In the words of Jaime "I dont think they're lethal, but I think if you were sitting there, you'd get some pretty nasty bruises" They found holes in their test dummy's clothing, but no evidence of actual damage to the dummy.
A .22 also has less mass (in it's bullet and case) as well as less powder. You can expect more damage from cases/bullets with more powder and mass.
http://preview.discovery.com/tv-shows/mythbusters/videos/gun-cartridge-fuse-minimyth/